人工知能学会第二種研究会資料
Online ISSN : 2436-5556
GAを用いた適合度関数と相場変化に着目したシステムトレード
新井 佑弥折原 良平中川 博之清 雄一田原 康之大須賀 昭彦
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研究報告書・技術報告書 フリー

2013 年 2013 巻 FIN-010 号 p. 10-

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A method to build trading rules at algorithmic trading by Genetic Algorithm (GA) is presented. The trading rules are built by adapting parameters of technical indices. New fitness functions in GA, which aim at a robuster behavior to change of market trends, are proposed. Furthermore, We have found that the effectiveness of technical indices varies depending on market trend. We propose a hybrid dealing method which switches the technical indices by market trend. The result of experiment shows that profits through dealing are improved by our proposed method.

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